Despite the rise of multi-factor models emphasizing value, firm size, and momentum, beta remains the primary measure of risk in asset pricing. Designed to define systematic risk, net of idiosyncratic risk that can be neutralized through diversification, beta combines a measure of volatility with...

This essay presents higher-moment asset pricing, a generalized approach to finance that combines a mathematically informed understanding of economic fundamentals with psychologically and biologically inspired behavioral insights. It ultimately seeks to apply higher-moment asset pricing to a wide...

The capital asset pricing model (CAPM) is the dominant paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds. The CAPM defines the price of financial assets according...

Uncertainty affects all aspects of economics. A principle this vital demands a mathematically precise definition. The distinction between risk and uncertainty, as made by Frank Knight (1921) and John Maynard Keynes (1937), invites the following definition (Anderson, Ghysels & Juergens 2009): An...

This essay seeks to rehabilitate the capital asset pricing model by splitting beta, the basic unit of systematic risk, into subatomic (or “baryonic”) components. By analogy to quantum chromodynamics and other aspects of the Standard Model of particle physics, this essay bifurcates beta on...

The conventional capital asset pricing model (CAPM) has come under severe attack for its failure to reflect investor behavior. This paper describes financial decision-making under uncertainty in formal mathematical terms as a generalized higher-moment capital asset pricing model. It develops...

This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic"...